Forward equations for option prices in semimartingale models
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. This result generalizes Dupire's forward equation to a large class of non-Markovian models with jumps and allows to retrieve various forward equations previously obtained for option prices in a unified framework.
|Date of creation:||2009|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00445641v3|
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